재벌기업과 비재벌기업의 재무구조 결정요인

신동령 한국금융연구원 1993 금융연구 Vol.7 No.1

線型判別模型을 이용한 CP等級의 分類에 관한 硏究

申東領 단국대학교 1989 論文集 Vol.23 No.-

Bond ratings provide a judgment of the investment quality of a long term obligation and a measure of default risk. Moody's Investors Service, Standard & Poor's Corporations of U.S.A and Korea Investors Service of Korea are the major bond rating agencies. Given the importance of bond ratings, various authors have attempted to explain and predict them based on financial and statistical characteristics of bonds and issuing firms. Models to explain or predict bond ratings have been reported to have been useful to the rating agencies themselves, and to investors. Above all, however, the models should be useful to the issuers themselves by providing them with vital information on how the rating agencies operate and especially by indicating how the major financial decisions might affect the ratings of their bonds. The purpose of this study is to develop and test a multivariate statistical model for predicting CP(commercial paper) ratings. Listed indstrial firms that received an Korea Investors Service CP rating as of December 31, 1988 and had year end 1987 Annual Report were initially screened as the sample. The final sample, containing 107 firms, was divided into 71 estimation sample and 36 holdout sample. A linear discriminant model has been developed, which incoporated five financial variables. The discriminant model correctly classified 56.3% of ratings in an estimation sample and 63.9% of the ratings in an holdout sample.

最近의 資本構造理論에 관한 硏究

申東領 단국대학교 산업연구소 1986 산업연구 Vol.9 No.-

신용등급 예측모형에 관한 고찰

신동령 단국대학교 경영경제연구소 2000 經營, 經濟硏究 Vol.2 No.-

Credit rating is defined as the opinions on the relative ability and willingness of an issuer to make timely payments on specific debt or related obligations over the life of the instruments. It is intended to forecast the probability of default, as well as, the likelihood of severity of loss if defaults occurs. In order to decide a rating for a particular issue or issuer for the first time or to make rating review and rating changes, the rating agencies gather and analyze various information. In case of industrial companies, the rating agencies rely on following information; industry and country trends, management quality and attitude towards risk-taking, basic operating and competitive position, financial position and sources of liquidity, company structure, parent company support agreements, and special event risk. So, various information contained in financial statements are utilized in the rating process. Academic researchers in the field of finance and accounting, have been studying if statistical models based on financial rations can be used to predict actual ratings. On this context, this study aims to review various credit rating prediction models, as well as to make certain which financial rations are most useful.

도산기업의 재무적 특성과 도산예측모형

신동령 韓日經商學會 1999 韓日經商論集 Vol.17 No.-

The purposes of this paper are to analyze the financial characteristics and develop a bankruptcy prediction model. The sample is consisted of 45 failed Korean industrial firms during 1995-1997 and 45 healthy firms selected by matching year, industry and firm size. Through reviewing previous studies and recent IMF situations in Korea, we first select 19 financial ratios and then investigate the differences in financial ratios between bankrupt firms and healthy firms by ANOVA and profile analysis. Eleven financial ratios measuring financial structure, profitability, cash flow show a big difference between two groups of firms. Especially, according to the financial ratios such as current liabilities to sales, interest expenses to sales, retained earnings to total assets, and equity to total capital, bankrupt firms appear to be over-burden not only in short-term obligation but also in long-ter5m obligation and very weak in debt-repaying ability. However, we find no statistically significant differences in current ratios, inventory and receivables turnover ratios. By logit regression analysis, we construct three versions of bankruptcy prediction models; step-wise regression model(model S), Altman's five variables model(model A), and three variables model(model K). For the model S and model K, interest expenses to sales ratios measuring financial expense burden and retained earnings to total asset ratios measuring cumulative profitability show consistent effect to bankruptcy probability during five years before bankruptcy. In case of model K, which include only three ratios such as retained earnings to total asset, interest expense to sales, and cash flow to total debt, the prediction accuracy appear to be 80.0% to 93.3%. This prediction accuracy is superior comparing with other previous studies. The result of this study can be utilized to investigate the degree of financial distress and predict the likelihood of bankruptcy for an industrial firm. The bankruptcy prediction models also provide some guide lines to prevent financial distress, including operating as well as financial restructuring methods.

最近의 資本市場理論 및 危險尺度에 關한 考察

申東領 단국대학교 산업연구소 1984 산업연구 Vol.7 No.-

財務危險管理의 理論과 實際에 관한 考察

申東領 단국대학교 산업연구소 1993 산업연구 Vol.16 No.-

情報不均衡이 한국기업의 投資支出에 미치는 영향에 관한 硏究

申東領 한국재무학회 1992 財務硏究 Vol.5 No.1

派生金融商品을 이용한 企業의 財務危險管理에 관한 硏究

申東領 韓日經商學會 1995 韓日經商論集 Vol.11 No.-

This study investigates the derivative financial products(DFPs) which are world-widely used effective means to manage the financial risk of firms. Relying on the exsisting literatures, we are focusing on the subjects such as the background and trading volume of DFP, the economic rationale and empirical evidence of financial risk management, statistics about the use of DFPs, the four basic products comprising DFPs and the pricing relationship between them, and the risk of DFP. This study also emphasizes the fact that the basic products, such as forwards, futures, options, and swaps, might be different in the degree of credit risk, but essencially not different products in managing financial risks. So, by building block approach, new financial products can be created by combining properly the basic products. The pricing of new products can be easily made if we use the pricing relation of the component basic products. In case of Korea, except the stock index futures contracts which will be traded on Korea Stock Exchange begining January 1996, there are no futures or options exchange. However, many derivative products including the forward contracts on foreign exchange, are traded on over the counter markets. Since the use of futures or options exchange located on foreign countries are allowed by law, many Korean firms are now trading derivatives on CME or CBOT through the help of brokerage firms or foreign exchange banks. In utilizing the DFP's many firms such as Barings PLC in England, have experienced a huge amount of loss and some firms have been bankrupted due to the loss. In order to prevent such loss, the managers need to fully understand the risks associated with DFP. Every firm should establish a good internal control system to moniter and control the activities related to DFPs.

채권 신용 등급 변경의 정보 효과에 관한 연구

신동령 단국대학교 1998 論文集 Vol.33 No.-

Creditrating agencies such as Moody's Investors Service and Standard and Poor's Corporation stand today as de facto gatekeepers of the world's capital markets. The real function of credit rating agencies is to provide new information to the investors about the credit risk of bonds through rating changes. However, many institutional investors argue that rating changes just confirm what the market already knows, and that bonds usually trade at the level of a new rating long before the change is announced. This research examines that topic by reviewing existing empirical studies. The overall results show that credit rating changes provide new information to the market, expecially with downgrades.